These notes are based on six-week lectures given at T.I.F.R. Centre, Indian Institute of Science, Bangalore, during February to April, 1983. My main purpose in these lectures was to study solutions of stochastic differential equations as Wiener functionals and apply to them some infinite dimensional functional analysis. This idea was due to P. Malliavin. In the first part, I gave a calculus for Wiener functionals, which may be of some independent interest. In the second part, an application of... Topics: Stochastic Processes, "
byItō, Kiyosi, 1915-2008; Barndorff-Nielsen, O. E. (Ole E.); Sato, Ken-iti, 1934-; Itō, Kiyosi, 1915-2008. Stochastic processes, 1968/69
Book digitized by Google from the library of Oxford University and uploaded to the Internet Archive by user tpb. Topic: Stochastic processes Source: http://books.google.com/books?id=6ewFAAAAQAAJ&oe=UTF-8
by<a href=http://www.eecs.berkeley.edu/~ananth/ target=_blank> Kumar and Varaiya</a>
Contents: introduction; state space models; properties of linear stochastic systems; controlled Markov chain model; input output models; dynamic programming; linear systems estimation and control; infinite horizon dynamic programming; introduction to system identification; linear system identification; Bayesian adaptive control; non-Bayesian adaptive control; self-tuning regulators for linear systems. Lecture Notes Collection FreeScience.info ID2844 Obtained from... Topics: Stochastic Processes, "
The sounds of "'Sex, Drugs and Rock'n Roll' was never meant to be like this", were created using an extension of Iannis Xenakis' dynamic stochastic synthesis technique that Luque is currently developing. Stochastic sytnthesis is an approach to microsound synthesis that uses probability distributions to manipulate individual digital samples. The structure of this piece is articulated by juxtaposing three different families of sounds (in order to create sections). These clear and abrupt... Topics: computer music, stochastic
We introduce homogeneous Markov processes and show how the apparatus developed so far simplifies for this class. This module does not discuss more specific Markov processes--continuous, jump, birth-death, etc. Topics: Maths, Stochastic Analysis, Stochastic Processes, Markov Processes, Mathematics Source: http://www.flooved.com/reader/1591
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal the Black and Scholes framework seems to be inappropriate for such long maturity products. They propose to use a regime switching model. Alternatively, we propose here to use a stochastic volatility model (Heston model) and a Black Scholes model with stochastic interest rate (Hull White model). For this purpose... Topics: Variable Annuities, stochastic volatility, stochastic interest rate, optimal withdrawal